u/algodude

Here's yet another EOD strategy I've been playing around with lately. It is akin to momentum ensemble and aggregates the scores of a few fixed momentum kernels. It is more or less parameter-less (the only parm is the exposure level, which is heavily quantized). Uses the same S&P500 basket as my other backtests. Like always, executions are MOC, nothing exotic.

The equity curve is a 26-year GA optimization backtest (CAGR/maxDD = 20%/20%) and the CAGR/MaxDD histograms are from 5000 26yr MC sims of the winning chromosome. Open to comments and constructive criticism.